Jon Ronson meets with Randy Weaver and daughter Rachel, two of the surviving members of the Weaver family. The film shows previously unseen archive footage to describe the life of a family who claim to have moved to a cabin in Ruby Ridge, Idaho to live peacefully, and escape what they saw as the tyrannical elite of international bankers bent on enslaving the world. Ronson also explains how the Weaver family's conspiracy theories became a shocking tragedy when the American Government killed two of the family members, their dog, and shot and wounded Randy Weaver and Kevin Harris, whom the Weaver family considered their son. Ronson explores the unsympathetic media response to the killings and how this incident might have influenced the siege at Waco, the Oklahoma City bombing and the growth of the American militia movement.

Jon Ronson follows David Icke as he promotes his theory that "the elite are genetically descended from a race of 12-foot, blood-drinking, shape-shifting lizards". During the film Icke is accused by a leftist protest group in Canada of antisemitism. The documentary explores the theme of whether Icke literally means lizards — as he steadfastly maintains — or whether the reptilians are a coded reference to Jews, which Icke denies vehemently. Ronson concludes that Icke is probably not an anti-Semite, and comes to have misgivings about the Icke protesters' methods and their attempts to silence Icke.

Before his involvement in the Oklahoma City bombing, Timothy McVeigh believed that a shadowy elite secretly controlled the governments of the world, conspiring to establish a genocidal New World Order. He believed that the Alfred P. Murrah building was local New World Order headquarters. But many other theorists are convinced that the world only knows part of an apparent complex conspiracy story behind the bombing. Ronson meets a number of theorists whilst investigating the story, and concludes his film in Elohim City, a private Christian Identity movement compound in Oklahoma.

Jon Ronson follows conspiracy theorist and radio host Alex Jones as he attempts to infiltrate the annual gathering of dignitaries and business leaders (reportedly including George Bush and Henry Kissinger) at the Bohemian Grove. The film includes footage of attendees dressed in robes and burning an effigy at the foot of a giant stone owl. Jones believes that the ceremony is related to occult secret societies. After the event, Ronson meets comedy actor and fellow attendee Harry Shearer who describes the event as a glorified fraternity party. Shearer largely dismisses Jones's dramatic retelling of the gathering and notes that the music is supplied by The Symphony Orchestra of San Francisco.

Ronson teams up with reporter James P. Tucker, Jr., who has been investigating the Bilderberg Group, an annual invitation-only conference, for over thirty years. According to Tucker, around 130 guests, most of whom are persons of influence in business, academic, or political circles, meet annually in secret. The duo encounter unwelcoming suited security men and a car chase. Ronson also interviews Group founder Denis Healey.